File Format Overview
Taipei Exchange Trade and Quote Data File Format Document Version 1.0
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 1 of 7
1.0 Trade Data Sample 01/03/2017,09:00:20.132,01/03/2017,09:00:20.077,32.20,98000,TRD,-, 01/03/2017,09:00:45.338,01/03/2017,09:00:45.309,32.40,9000,TRD,-, 01/03/2017,09:00:50.387,01/03/2017,09:00:50.351,32.40,1000,TRD,-, 01/03/2017,09:00:55.428,01/03/2017,09:00:55.402,32.25,1000,TRD,-, 01/03/2017,09:01:00.519,01/03/2017,09:01:00.485,32.40,2000,TRD,-, 01/03/2017,09:01:05.558,01/03/2017,09:01:05.530,32.40,1000,TRD,-, 01/03/2017,09:01:10.587,01/03/2017,09:01:10.576,32.30,6000,TRD,-, 01/03/2017,09:01:15.638,01/03/2017,09:01:15.624,32.40,3000,TRD,-, 01/03/2017,09:01:20.694,01/03/2017,09:01:20.684,32.40,1000,TRD,-, 01/03/2017,09:01:25.731,01/03/2017,09:01:25.728,32.45,5000,TRD,-, File Layout Each tick contains 9 fields of data in all ASC files. These fields are comma-separated and are laid out as follows: Data Field Trade Date Trade Time Exchange Date Exchange Time Price Volume Sales Condition Trade Period Exclude Record Flag
Characteristics MM/DD/YYYY HH:MM:SS.000 – milliseconds (use this custom format in Excel) Exchange reported date. MM/DD/YYYY Exchange reported time. HH:MM:SS.000 – milliseconds (use this custom format in Excel) Numeric Numeric See Appendix A – Sales Condition Codes See Appendix B – Trade Period Codes Filtered trade indicator. “X” is present if Tick Data recommends exclusion of trade from time series due to condition code(s).
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 2 of 7
2.0 Quote Data Sample 01/03/2017,08:30:26.964,14.30,2000,14.40,28000,0,0,1 01/03/2017,08:30:32.009,14.30,2000,14.40,28000,0,0,1 01/03/2017,08:30:37.047,14.30,2000,14.40,24000,0,0,1 01/03/2017,08:30:42.107,14.30,2000,14.40,14000,0,0,1 01/03/2017,08:30:47.129,14.50,4000,14.75,87000,0,0,1 File Layout Each tick contains 9 fields of data in all ASC files. These fields are comma-separated and are laid out as follows: Data Field Quote Date Quote Time Bid Price Bid Size Ask Price Ask Size Bid Limit Indicator Ask Limit Indicator Quote Condition
Characteristics MM/DD/YYYY HH:MM:SS.000 – milliseconds (use this custom format in Excel) Numeric Numeric Numeric Numeric See Appendix C – Bid Limit Indicator Codes See Appendix D – Ask Limit Indicator Codes See Appendix E – Quote Condition Codes
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 3 of 7
3.0 Corporate Actions Tick Data provides the following corporate actions files with each dataset delivered: CompanyInfo.asc – provides a map of Tick Data’s internal ID# to current company symbol, company name, and ISIN.
StockSplits.csv – provides adjustment ratios for stock splits and stock dividends.
Mergers.csv – provides adjustment ratios for a certain type of stock splits where price should be adjusted but volume should not be adjusted.
Dividends.csv – provides the amount of cash dividends.
The format of each of these files is described below:
3.1 CompanyInfo.csv Sample 8279,SYNGEN BIOTECH CO,TW0008279001,01/01/2017,01/06/2017,1000917551 4702,ALLIED INDUSTRIAL,TW0004702006,03/05/2008,01/06/2017,1000945983 4402,FU TA MATERIAL TEC,TW0004402003,03/05/2008,01/06/2017,1000946036 5328,HUA JUNG COMPONENT,TW0005328009,03/05/2008,01/06/2017,1000946118 Field Name
Type
Description
Symbol or ID#
Character
Most recent stock symbol.
Company Name
Character
Company name.
ISIN
Character
International Securities Identifying Number uniquely identifies a security.
Start Date
Date
The first date for which data is available for the company.
End Date
Date
The last date for which data is available for the company.
Company ID
Numeric
Most recent Tick Data Internal ID#.
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 4 of 7
3.2 Split and Dividend Information (Stocksplits.csv and Mergers.csv) Sample 1053,06/09/2014,0.14286 File Layout Each record contains three fields of data. These fields are comma-separated and are laid out as follows: Field Name
Type
Description
Symbol or ID
Character
Stock symbol or ID#. Depends on data being delivered by ID or by Symbol.
Effective date
Date
MM/DD/YYYY - Date of stock split or dividend.
Numeric
Percentage of adjustment made to the price of the symbol due to a stock split, stock distribution, stock dividend, or cash dividend.
Ratio
3.3 Cash Dividends (Dividends.csv) Sample 6,02/12/2015,04/07/2015,04/08/2015,04/09/2015,,3.5,CHF 17,03/26/2014,07/10/2014,07/14/2014,07/15/2014,,90.0,CHF 19,04/24/2014,05/01/2014,05/05/2014,05/16/2014,,0.15,USD 25,01/28/2014,05/06/2014,05/08/2014,05/09/2014,,175.0,CHF File Layout Field Name
Notes
Company ID or Symbol
Depends on data being delivered by ID or by Symbol.
Declare Date Ex-Date Record Date Pay Date Net Amount Gross Amount Currency Type
no definition required no definition required no definition required no definition required no definition required no definition required no definition required
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 5 of 7
Appendix A – Sales Condition Codes
Value Description TRD ODD OTC PST FXD
Regular trade Odd lot auction trade OTC trade Closing auction trade Fixed price
Excluded (X)*
X X X
*The following condition codes are excluded by default: OTC, FXD. Prints where the trade date does not match the exchange date are also excluded. These trades can be included by checking the box for ‘Use Excluded Records in Output’ under the Formatting/Filtering tab in TickWrite 7.
Appendix B – Trade Period Codes Value Description A C O T -
Other auction (odd lot auction) Closing auction Opening auction Trading at closing price Regular trading
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 6 of 7
Appendix C – Bid Limit Indicator Codes Value Description 0 1 2
Not applicable (bid price is within the daily trading limits) Bid price on lower limit Bid price on upper limit
Appendix D – Ask Limit Indicator Codes Value Description 0 1 2
Other auction (odd lot auction) Ask price on lower limit Ask price on upper limit
Appendix E – Quote Condition Codes Value Description 0 1
Regular quote Auction quote
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 7 of 7
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 1 of 7
1.0 Trade Data Sample 01/03/2017,09:00:20.132,01/03/2017,09:00:20.077,32.20,98000,TRD,-, 01/03/2017,09:00:45.338,01/03/2017,09:00:45.309,32.40,9000,TRD,-, 01/03/2017,09:00:50.387,01/03/2017,09:00:50.351,32.40,1000,TRD,-, 01/03/2017,09:00:55.428,01/03/2017,09:00:55.402,32.25,1000,TRD,-, 01/03/2017,09:01:00.519,01/03/2017,09:01:00.485,32.40,2000,TRD,-, 01/03/2017,09:01:05.558,01/03/2017,09:01:05.530,32.40,1000,TRD,-, 01/03/2017,09:01:10.587,01/03/2017,09:01:10.576,32.30,6000,TRD,-, 01/03/2017,09:01:15.638,01/03/2017,09:01:15.624,32.40,3000,TRD,-, 01/03/2017,09:01:20.694,01/03/2017,09:01:20.684,32.40,1000,TRD,-, 01/03/2017,09:01:25.731,01/03/2017,09:01:25.728,32.45,5000,TRD,-, File Layout Each tick contains 9 fields of data in all ASC files. These fields are comma-separated and are laid out as follows: Data Field Trade Date Trade Time Exchange Date Exchange Time Price Volume Sales Condition Trade Period Exclude Record Flag
Characteristics MM/DD/YYYY HH:MM:SS.000 – milliseconds (use this custom format in Excel) Exchange reported date. MM/DD/YYYY Exchange reported time. HH:MM:SS.000 – milliseconds (use this custom format in Excel) Numeric Numeric See Appendix A – Sales Condition Codes See Appendix B – Trade Period Codes Filtered trade indicator. “X” is present if Tick Data recommends exclusion of trade from time series due to condition code(s).
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 2 of 7
2.0 Quote Data Sample 01/03/2017,08:30:26.964,14.30,2000,14.40,28000,0,0,1 01/03/2017,08:30:32.009,14.30,2000,14.40,28000,0,0,1 01/03/2017,08:30:37.047,14.30,2000,14.40,24000,0,0,1 01/03/2017,08:30:42.107,14.30,2000,14.40,14000,0,0,1 01/03/2017,08:30:47.129,14.50,4000,14.75,87000,0,0,1 File Layout Each tick contains 9 fields of data in all ASC files. These fields are comma-separated and are laid out as follows: Data Field Quote Date Quote Time Bid Price Bid Size Ask Price Ask Size Bid Limit Indicator Ask Limit Indicator Quote Condition
Characteristics MM/DD/YYYY HH:MM:SS.000 – milliseconds (use this custom format in Excel) Numeric Numeric Numeric Numeric See Appendix C – Bid Limit Indicator Codes See Appendix D – Ask Limit Indicator Codes See Appendix E – Quote Condition Codes
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 3 of 7
3.0 Corporate Actions Tick Data provides the following corporate actions files with each dataset delivered: CompanyInfo.asc – provides a map of Tick Data’s internal ID# to current company symbol, company name, and ISIN.
StockSplits.csv – provides adjustment ratios for stock splits and stock dividends.
Mergers.csv – provides adjustment ratios for a certain type of stock splits where price should be adjusted but volume should not be adjusted.
Dividends.csv – provides the amount of cash dividends.
The format of each of these files is described below:
3.1 CompanyInfo.csv Sample 8279,SYNGEN BIOTECH CO,TW0008279001,01/01/2017,01/06/2017,1000917551 4702,ALLIED INDUSTRIAL,TW0004702006,03/05/2008,01/06/2017,1000945983 4402,FU TA MATERIAL TEC,TW0004402003,03/05/2008,01/06/2017,1000946036 5328,HUA JUNG COMPONENT,TW0005328009,03/05/2008,01/06/2017,1000946118 Field Name
Type
Description
Symbol or ID#
Character
Most recent stock symbol.
Company Name
Character
Company name.
ISIN
Character
International Securities Identifying Number uniquely identifies a security.
Start Date
Date
The first date for which data is available for the company.
End Date
Date
The last date for which data is available for the company.
Company ID
Numeric
Most recent Tick Data Internal ID#.
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 4 of 7
3.2 Split and Dividend Information (Stocksplits.csv and Mergers.csv) Sample 1053,06/09/2014,0.14286 File Layout Each record contains three fields of data. These fields are comma-separated and are laid out as follows: Field Name
Type
Description
Symbol or ID
Character
Stock symbol or ID#. Depends on data being delivered by ID or by Symbol.
Effective date
Date
MM/DD/YYYY - Date of stock split or dividend.
Numeric
Percentage of adjustment made to the price of the symbol due to a stock split, stock distribution, stock dividend, or cash dividend.
Ratio
3.3 Cash Dividends (Dividends.csv) Sample 6,02/12/2015,04/07/2015,04/08/2015,04/09/2015,,3.5,CHF 17,03/26/2014,07/10/2014,07/14/2014,07/15/2014,,90.0,CHF 19,04/24/2014,05/01/2014,05/05/2014,05/16/2014,,0.15,USD 25,01/28/2014,05/06/2014,05/08/2014,05/09/2014,,175.0,CHF File Layout Field Name
Notes
Company ID or Symbol
Depends on data being delivered by ID or by Symbol.
Declare Date Ex-Date Record Date Pay Date Net Amount Gross Amount Currency Type
no definition required no definition required no definition required no definition required no definition required no definition required no definition required
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 5 of 7
Appendix A – Sales Condition Codes
Value Description TRD ODD OTC PST FXD
Regular trade Odd lot auction trade OTC trade Closing auction trade Fixed price
Excluded (X)*
X X X
*The following condition codes are excluded by default: OTC, FXD. Prints where the trade date does not match the exchange date are also excluded. These trades can be included by checking the box for ‘Use Excluded Records in Output’ under the Formatting/Filtering tab in TickWrite 7.
Appendix B – Trade Period Codes Value Description A C O T -
Other auction (odd lot auction) Closing auction Opening auction Trading at closing price Regular trading
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 6 of 7
Appendix C – Bid Limit Indicator Codes Value Description 0 1 2
Not applicable (bid price is within the daily trading limits) Bid price on lower limit Bid price on upper limit
Appendix D – Ask Limit Indicator Codes Value Description 0 1 2
Other auction (odd lot auction) Ask price on lower limit Ask price on upper limit
Appendix E – Quote Condition Codes Value Description 0 1
Regular quote Auction quote
Taipei Exchange Equity Trade and Quote Dataset, v1.0 Copyright © Tick Data, LLC
Page 7 of 7
